Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.2152 |
| Annualized Std Dev | 0.8046 |
| Annualized Sharpe (Rf=0%) | -0.2675 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3111.0000 |
| NAs | 1.0000 |
| Minimum | -0.6011 |
| Quartile 1 | -0.0224 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | -0.0010 |
| Quartile 3 | 0.0246 |
| Maximum | 0.4033 |
| SE Mean | 0.0009 |
| LCL Mean (0.95) | -0.0014 |
| UCL Mean (0.95) | 0.0022 |
| Variance | 0.0026 |
| Stdev | 0.0507 |
| Skewness | -0.7322 |
| Kurtosis | 13.2511 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0372 |
| Gain Deviation | 0.0347 |
| Loss Deviation | 0.0402 |
| Downside Deviation (MAR=210%) | 0.0411 |
| Downside Deviation (Rf=0%) | 0.0370 |
| Downside Deviation (0%) | 0.0370 |
| Maximum Drawdown | 0.9956 |
| Historical VaR (95%) | -0.0759 |
| Historical ES (95%) | -0.1214 |
| Modified VaR (95%) | -0.0795 |
| Modified ES (95%) | -0.1721 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-06-24 | 2020-03-23 | NA | -0.9956 | 1698 | 1447 | NA |
| 2011-05-02 | 2011-10-03 | 2014-04-01 | -0.6951 | 734 | 108 | 626 |
| 2008-11-11 | 2009-03-05 | 2010-12-22 | -0.6869 | 533 | 78 | 455 |
| 2011-03-04 | 2011-03-16 | 2011-03-29 | -0.1856 | 18 | 9 | 9 |
| 2011-04-06 | 2011-04-12 | 2011-04-29 | -0.1563 | 17 | 5 | 12 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -30.1 | 3 | -28 |
| 2009 | -2.7 | -7.6 | 6 | 9 | 10.3 | 0.4 | 1.7 | -5.3 | -7.5 | -10.5 | 3.9 | -2.9 | -7.4 |
| 2010 | 9.4 | 2.7 | 4.9 | -3.5 | -12.6 | -0.8 | -0.4 | 10.8 | 3.7 | 1.1 | 8.4 | 0.2 | 23.8 |
| 2011 | 5.2 | -4.8 | 0.9 | 5 | -6.7 | 3 | -0.5 | -2.5 | -7.8 | -9.6 | -1.5 | -0.1 | -19 |
| 2012 | 1.3 | 2.9 | 2 | 4.1 | -6.7 | 8.7 | 1.6 | 2.7 | 1.5 | 1.4 | -0.4 | 6.1 | 27.3 |
| 2013 | 2.7 | -0.4 | -0.6 | -4.8 | -6 | 2.3 | 5 | -0.2 | 2 | -1.2 | -0.7 | 2.8 | 0.5 |
| 2014 | -3.9 | 1.5 | 1.8 | -0.7 | -0.3 | 0.1 | -2.4 | 1.8 | -6.2 | 6 | 1.4 | -2.1 | -3.5 |
| 2015 | 2.5 | -1.3 | 0.8 | 0.6 | -0.6 | -3.6 | -6.5 | -10.7 | 0.8 | 2.2 | 2.2 | 1.3 | -12.6 |
| 2016 | -5.2 | 6.9 | -4.4 | -0.8 | 0.6 | 1.6 | -9.9 | -0.6 | 3.9 | 0.1 | 0.9 | -0.8 | -8.6 |
| 2017 | -2.2 | 6.1 | -0.9 | -0.6 | 1.8 | 1 | 0 | 2.7 | 0 | 3.3 | 2.3 | -0.9 | 13.1 |
| 2018 | 3 | -0.5 | 6.3 | -1.9 | 1.5 | 2 | -4.2 | -2.3 | 4.5 | 2.6 | -1 | 1.4 | 11.4 |
| 2019 | 5.3 | 5.4 | 4.1 | -6.5 | -4.8 | 0.4 | -6.8 | 0 | -6.7 | 7.3 | -2.9 | 1.7 | -4.8 |
| 2020 | -9.2 | 2.7 | -10.4 | -11.6 | 3.5 | -4.8 | -1.2 | -1.5 | -6.3 | 1.1 | 0.9 | -1.8 | -33.6 |
| 2021 | 1.3 | 5.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-06 474. SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
2 2008-11-07 540 SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
3 2008-11-10 558. SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
4 2008-11-11 515 SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
5 2008-11-12 413. SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
6 2008-11-13 535. SPY 91.2 0.0623 0.0034 0.0128 -0.300 -0.383 -0.263 -0.143 GLD 72.2 0.0307 -0.001
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
